Some numerical aspects on a method for solving linear problems with complementarity constraints

Giandomenico Mastroeni (), Letizia Pellegrini () and Alberto Peretti ()
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Giandomenico Mastroeni: Department of Computer Science, University of Pisa, Italy
Letizia Pellegrini: Department of Economics (University of Verona)
Alberto Peretti: Department of Economics (University of Verona)

No 16/2021, Working Papers from University of Verona, Department of Economics

Abstract: A known method for solving linear problems with complementarity constraints is briefly recalled. The method decomposes the given problem in a sequence of parameterized problems and - by means of suitable cuts - allows to define an iterative procedure that leads to an optimal solution or to an approximation of it providing an estimate of the error. In this paper, for problems of different dimensions we have implemented some numerical experiments which show that in most cases the method converges linearly with respect to the dimension of the problem. Our results are also compared with those obtained by similar approaches where different kinds of cuts are considered.

Keywords: Mathematical programs with complementarity constraints; duality; decomposition methods (search for similar items in EconPapers)
JEL-codes: C61 (search for similar items in EconPapers)
Pages: 15
Date: 2021-12
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